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Is there anyway to ensure that the compressed array is
aligned with a particular 'time boundary'. For example you would probably want
inHourly starting with the
beginning of an hour (e.g. 9:00am) but if bar zero is say 9:30am this would not
be the case? Another potential area for unwanted results would be compressing
say a daily to weekly (or monthly) and it getting out of wack over a
public holiday (4 day week)?
From the documentation it looks like compression is simply of the
'n bar' type rather than taking time into consideration?
Any idea how
to deal with these sorts of scenario? I guess it may not be a
problem depending how the arrays are built by AB. I'm planning quite
a large multi time frame project and would rather have a plan for this sort of
thing before I start coding.
Many
Thanks
Nick.
Correct.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006 11:56
PM
Subject: Re: [amibroker] Backtesting and
TimeFrameExpand(xxx,inWeekly, expandFirst);
Tomasz,
How does Time frame system work with RT
data?
My assumtion:
TimeFrameSet( in5Minute ); // used with 1 min data
I assume that you create groups of 5 1 min bars
starting with bar zero. So in real time the last grouping may have
from 1 to 5 bars.
Is that correct?
Thanks
Ara
----- Original Message -----
Sent: Wednesday, April 19, 2006 5:19
AM
Subject: Re: [amibroker] Backtesting
and TimeFrameExpand(xxx,inWeekly, expandFirst);
Hello,
along with TimeFrameExpand, quote:
TimeFrameExpand( array, interval, mode =
expandLast ) - expands time-compressed array from 'interval' time frame to
base time frame ('interval' must match the value used in TimeFrameCompress
or TimeFrameSet)
Available modes:
expandLast - the compressed value is
expanded starting from last bar within given period (so for example weekly
close/high/low is available on Friday's bar)
expandFirst - the compressed
value is expanded starting from first bar within given period (so for
example weekly open is available from Monday's bar)
expandPoint - the
resulting array gets not empty values only for the last bar within given
period (all remaining bars are Null (empty)).
Caveat: expandFirst used on price different than open may
look into the future. For example if you create weekly HIGH series,
expanding it to daily interval using expandFirst will enable you to know on
MONDAY what was the high for entire week.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, April 19, 2006 9:04
AM
Subject: [amibroker] Backtesting and
TimeFrameExpand(xxx,inWeekly, expandFirst);
Hi all,
First, thanks for AB.. Its really good
appliacations and I'm
spending a lot of time with it. Anyway, looks
like I found some
backtesting bug..
I was really suprised with
results from my new system, but later I
found that backtesting is
cheating probably.. Im using weekly
timeframe to compute MACD and then
expanding it to daily and I
wanted use expandFirst.. So I'm getting
signals after monday.. I
know, that if week will continue in wrong
direction,then signal
disappear.. Its ok, but when I use backtesting,
it probably use
values for whole next week and use signal from monday
(ie first day
of this week).. So backtesting works with whole week,but
buying at
monday and this is why I getting so good results (85%
wiinners, 250%
annual return¨)
Could somebody confirm this and
help me to get real results ? Or its
bug (feature) in the AB
?:)
thank you very much..
Roarke
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